Abstract
Abstract
This study examines the dynamic and quantile-dependent spillover connectedness among African stock markets, precious metals, and cryptocurrencies. Using daily data for seven major African stock markets, three precious metals, and three cryptocurrencies spanning from July 31, 2017, to April 13, 2023, we employ a combined time-varying parameter vector autoregression (TVP-VAR) and quantile vector autoregression (QVAR) framework to capture both time-varying and tail-dependent spillovers. The findings reveal pronounced regime dependence, with connectedness intensifying substantially during bearish and bullish market states relative to normal conditions. Cryptocurrencies emerge as increasingly important transmitters of shocks, while African equity markets predominantly act as net shock receivers. The evidence shows that the precious metals are, at minimum, weak safe haven. Bitcoin and Ethereum, by contrast, show statistically significant positive co-movement with African equities during the most extreme downturns, providing direct evidence against their safe-haven status. Extensive robustness analyses confirm that cross-market linkages are nonlinear and state-dependent. The findings highlight the need for regime-sensitive diversification, integrated systemic risk monitoring, and closer surveillance of cryptocurrency-related spillovers in African financial markets.